Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1073
Annualized Std Dev 0.2151
Annualized Sharpe (Rf=0%) 0.4989

Row

Daily Return Statistics

Close
Observations 3874.0000
NAs 1.0000
Minimum -0.1244
Quartile 1 -0.0054
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0070
Maximum 0.1040
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0135
Skewness -0.4429
Kurtosis 9.0995

Downside Risk

Close
Semi Deviation 0.0099
Gain Deviation 0.0093
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0144
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.5780
Historical VaR (95%) -0.0210
Historical ES (95%) -0.0332
Modified VaR (95%) -0.0210
Modified ES (95%) -0.0413
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-05-14 -0.5780 1408 355 1053
2020-02-13 2020-03-23 NA -0.4430 278 27 NA
2018-10-04 2018-12-24 2019-04-30 -0.2496 142 56 86
2015-02-25 2016-02-11 2016-06-06 -0.1644 323 244 79
2006-04-21 2006-06-13 2006-10-16 -0.1164 124 37 87

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA 0.2 1.2 -0.8 0.6
2006 1.2 0.4 -0.3 0.5 1.6 -0.3 -0.8 0.8 -0.2 -1.2 -0.1 -0.5 0.9
2007 0.7 0.1 -0.2 0.7 0.1 0.1 1.5 0.5 1.2 -2 0 -0.2 2.5
2008 1.3 -2.5 2.7 1.7 1.1 0.1 -0.7 -1.3 -1.5 2.5 -7.3 2.7 -1.6
2009 -0.8 -2.7 0.9 1.8 4.1 0.7 -0.1 -0.8 -2.7 -2.2 1.4 -1.2 -1.9
2010 1.7 1.3 0.3 -2.4 -2.6 -1.1 -0.1 3.3 0 -0.1 2.4 0.1 2.8
2011 1.4 -1.7 0.5 0.4 -2.5 1.6 -1.3 -2.2 -1.4 -3.6 0.2 -0.6 -8.9
2012 1.7 0.1 0.1 0.4 -2.3 3.3 -0.9 0.8 0.7 1.2 -0.1 1.6 6.7
2013 0.8 -0.3 -1 -0.9 -0.5 0.8 1.7 -1.2 1.1 0.5 -0.5 0.5 1
2014 0.6 0.3 0.8 -0.3 0.2 1.1 0.2 0.2 -2.1 1.2 -0.8 -1.1 0.1
2015 -1.4 -0.4 -0.9 1.1 0.1 0.7 -0.2 -2.7 -0.1 -0.1 0.4 -1 -4.4
2016 -0.2 1 0.3 -0.7 0.4 -0.1 0.1 0.2 0.5 -0.4 0.1 -0.5 0.6
2017 -0.2 1.5 -0.4 -0.2 0.4 0.6 0.4 -0.2 0.3 -0.2 -1.4 -0.4 0.2
2018 0.7 -2.1 1.5 -1.6 1 0.4 -0.7 0.1 0.2 2.4 0.4 1.2 3.5
2019 0.2 0.2 1.9 -0.1 -0.9 -0.5 -1.1 0.4 -2.2 1.2 -0.5 -0.3 -1.7
2020 -2.1 -1.6 -4.4 -2.7 0.8 -0.5 -0.4 0.3 0.3 0 1 0.4 -8.7
2021 1.2 2.9 -0.6 NA NA NA NA NA NA NA NA NA 3.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart